In my econometric model the identifying variation is at the state, year, and factory level. When I include state (i.state) fixed effects, year (i.year) fixed effects, state by year fixed effects (i.state#i.year), and state-level controls that change over time (e.g. state unemployment rate), stata does not drop unemployment rate due to collinearity. However I thought that state-by-year fixed effects perfectly absorb state-level controls that change over time. Am I doing something wrong coding wise or am I thinking wrong about the relationship between state-by-year fixed effects and state-level controls that change over time?